| Metric | SPY | Strategy |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% |
| Cumulative Return | -4.11% | -2.5% |
| CAGR﹪ | -36.88% | -24.21% |
| Sharpe | -1.66 | -1.18 |
| Prob. Sharpe Ratio | 30.17% | 35.59% |
| Smart Sharpe | -1.51 | -1.07 |
| Sortino | -2.01 | -1.39 |
| Smart Sortino | -1.83 | -1.26 |
| Sortino/√2 | -1.42 | -0.98 |
| Smart Sortino/√2 | -1.29 | -0.89 |
| Omega | 0.81 | 0.81 |
| Max Drawdown | -10.1% | -8.55% |
| Max DD Date | 2018-02-08 | 2018-02-08 |
| Max DD Period Start | 2018-01-29 | 2018-01-29 |
| Max DD Period End | 2018-02-28 | 2018-02-28 |
| Longest DD Days | 31 | 31 |
| Volatility (ann.) | 25.71% | 21.61% |
| R^2 | 0.95 | 0.95 |
| Information Ratio | 0.16 | 0.16 |
| Calmar | -3.65 | -2.83 |
| Skew | -1.0 | -1.56 |
| Kurtosis | 0.92 | 2.92 |
| Expected Daily | -0.18% | -0.11% |
| Expected Monthly | -2.08% | -1.26% |
| Expected Yearly | -4.11% | -2.5% |
| Kelly Criterion | -17.31% | -13.52% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -2.83% | -2.34% |
| Expected Shortfall (cVaR) | -3.69% | -3.69% |
| Max Consecutive Wins | 6 | 5 |
| Max Consecutive Losses | 3 | 3 |
| Gain/Pain Ratio | -0.25 | -0.19 |
| Gain/Pain (1M) | -1.0 | -1.0 |
| Payoff Ratio | 0.69 | 0.73 |
| Profit Factor | 0.75 | 0.81 |
| Common Sense Ratio | 0.33 | 0.4 |
| CPC Index | 0.27 | 0.31 |
| Tail Ratio | 0.44 | 0.49 |
| Outlier Win Ratio | 1.65 | 2.05 |
| Outlier Loss Ratio | 2.77 | 3.67 |
| MTD | -3.64% | -2.25% |
| 3M | -4.11% | -2.5% |
| 6M | -4.11% | -2.5% |
| YTD | -4.11% | -2.5% |
| 1Y | -4.11% | -2.5% |
| 3Y (ann.) | -36.88% | -24.21% |
| 5Y (ann.) | -36.88% | -24.21% |
| 10Y (ann.) | -36.88% | -24.21% |
| All-time (ann.) | -36.88% | -24.21% |
| Best Day | 1.97% | 1.44% |
| Worst Day | -4.18% | -4.24% |
| Best Month | -0.49% | -0.25% |
| Worst Month | -3.64% | -2.25% |
| Best Year | -4.11% | -2.5% |
| Worst Year | -4.11% | -2.5% |
| Avg. Drawdown | -10.1% | -8.55% |
| Avg. Drawdown Days | 31 | 31 |
| Recovery Factor | 0.39 | 0.27 |
| Ulcer Index | 0.06 | 0.05 |
| Serenity Index | -0.12 | -0.07 |
| Avg. Up Month | - | - |
| Avg. Down Month | -2.07% | -1.25% |
| Win Days | 52.17% | 52.17% |
| Win Month | 0.0% | 0.0% |
| Win Quarter | 0.0% | 0.0% |
| Win Year | 0.0% | 0.0% |
| Beta | - | 0.82 |
| Alpha | - | 0.1 |
| Correlation | - | 97.27% |
| Treynor Ratio | - | -3.06% |
| Year | SPY | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2018 | -4.11 | -2.50 | 0.61 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2018-01-29 | 2018-02-28 | -8.55 | 31 |